人民币汇率、汇率风险对中国对美国出口的经济影响分析  

The Economic Impact Analysis of RMB Exchange Rate and Exchange Rate Risk on China Exports to U.S.

作　　者：吴武清[1] 陈敏[1] 毛志杰[1] 

机构地区：[1]中科院数学与系统科学研究院,北京100080

出　　处：《数理统计与管理》2008年第4期663-677,共15页Journal of Applied Statistics and Management

基　　金：国家基础研究计划(973项目)(2007CB814902);国家自然科学基金(70221001;70331001;10628104)

摘　　要：汇率影响出口有两个途径,一是汇率变动(升值或贬值),二是汇率波动(汇率风险).2003年以来,中国一直面临人民币升值的压力,特别是来自美国和日本对人民币重新估值的压力;人民币汇率升值是否对出口产生负面效应,影响程度有多大,一直是这段时期的关注焦点.本文利用1990.01-2007.08间的月度数据主要从时间序列数据的季节效应分解(UCM)、自回归建模(自回归-GARCH)和动态条件相关系数(DCC)三个角度实证的分析了人民币汇率升值对中国对美国出口的经济影响,几个不同的角度,都揭示了人民币汇率升值会减少中国对美国的出口;本文还发现汇率风险的增加会减少出口贸易的增速.通过动态条件相关系数分析发现实际汇率对出口的解释能力为20%-30%;通过汇率对出口的弹性分析发现人民币月度汇率弹性为150～220(亿元/人民币兑美元);此外,近两年实际汇率升值起点滞后名义汇率升值起点1年左右,而中国对美国的出口又滞后实际汇率的升值起点3-4个月.最后,本文指出通过有效地抑制通货膨胀,降低美元储备,转移汇率风险等途径在一定程度上可缓解人民币汇率升值压力和对冲汇率风险.Exchange rate movements affect exports in two ways--rate change （appreciation/depreciation） and rate volatility （risk）. Since 2003 China has faced increasing pressure, especially from the US and Japan, to revalue the RMB. The mainstream economic debate for this period has focused on whether, and to what extent, the RMB＇s appreciation has produced the negative effect on exports. By using the monthly data from Jan. 1990 to Aug. 2007, this paper analyzes the economic effect of RMB＇s appreciation on China Exports to U.S. from UCM, the autoregressive garch model and DCC, which all indicate the negative effect on it. This paper also shows that the exchange rate volatility has minor impact on the exports. From the DCC analysis it was found the interpretative power of the RMB real rate to exports is 20%-30%, and the elasticity of the RMB real rate is 150～220（0.1 bil/cnyusd）. It was also found the time delay of the real rate to the nominal rate was one year, and the exports were 3 months behind the real rate. Lastly, this paper points out that the effective control of the inflation, the reducation of the US dollar reserves and the transfer of the appreciation risk can all hedge the exchange rate risk and relieve the pressure of the RMB＇s appreciation.

关 键 词：人民币汇率 汇率风险 升值 UCM 自回归-GARCH 动态条件相关系数 

分 类 号：F830.31[经济管理—金融学] O212[理学—概率论与数理统计]